Aggregating risks with partial dependence information

Daniël Linders, Fan Yang

Research output: Contribution to journalArticle

Abstract

We consider the problem of aggregating dependent risks in the presence of partial dependence information. More concretely, we assume that the risks involved belong to independent subgroups and the dependence structure within each group is unknown. A sharp convex upper bound exists in this setting, and this constrained upper bound improves the existing, unconstrained, comonotonic upper bound in convex order. Moreover, we prove the uniqueness of this constrained upper bound and provide a characterization in terms of the distribution of its sum. Numerical illustrations are provided to show the improvement of the new upper bound.

Original languageEnglish (US)
Pages (from-to)565-579
Number of pages15
JournalNorth American Actuarial Journal
Volume21
Issue number4
DOIs
StatePublished - Oct 10 2017
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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